Ambiguity shifts and the 2007-2008 financial crisis
成果类型：
Article
署名作者：
Boyarchenko, Nina
署名单位：
Federal Reserve System - USA; Federal Reserve Bank - New York
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2012.04.002
发表日期：
2012
页码：
493-507
关键词：
摘要：
Faced with doubts about the quality of information and the quality of modeling techniques, ambiguity-averse agents assign higher probabilities to lower utility states, leading to higher CDS premia and lower equity prices. Using data on financial institutions. I find that the sudden increases in credit spreads during the recent crisis can be explained by changes in the amount of ambiguity faced by market participants and changes in how the total amount of ambiguity was distributed between ambiguity about information quality and ambiguity about model quality. Published by Elsevier B.V.
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